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Reflected Brownian motion in a wedge: sum-of-exponential stationary densities


 
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1. Title Title of document Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
 
2. Creator Author's name, affiliation, country A.B. Dieker; Georgia Institute of Technology
 
2. Creator Author's name, affiliation, country J. Moriarty; University of Manchester
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Reflected Brownian motion with drift -- stationary distribution -- reflection principle
 
3. Subject Subject classification 60J65, 60J60, 60K25
 
4. Description Abstract We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relying on geometric ideas reminiscent of the reflection principle, we give an explicit formula for the density in such cases.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) Science Foundation Ireland, grant number SFI04/RP1/I512, and a postdoctoral fellowship from the IBM T.J. Watson Research Center
 
7. Date (YYYY-MM-DD) 2009-01-12
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1437
 
10. Identifier Digital Object Identifier 10.1214/ECP.v14-1437
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 14
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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